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VincentShell · 2022年12月08日

为什么是最后的答案是1而不是2

  1. CFA I
  2. Quantitative

NO.PZ2018062016000095

问题如下：

Using two-period binomial model, Jack wants to calculate the terminal value of a put option. If the current price of the underlying asset is $150 and the strike price is $120, the size of an up move is 1.69 and a down move is 0.59. Only when the price is below the strike price can the option has a positive value, otherwise the value will be zero. How many terminal nodes can give back positive return？

选项：

A.

1

B.

2

C.

0

解释：

A is correct. Only the third node has a value less than $120, which is $52.22.

不是经过了两轮了吗？为什么不是2。请老师解答一下谢谢

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星星_品职助教 · 2022年12月08日

同学你好，

题目问的是terminal nodes中，有几个node可以给出positive return。不是二叉树一共做了几期。

将二期二叉树画出来后，就可以得到答案解析中的图像，可以看到最后一期有4个terminal nodes（包括重复出现的149.57），其中below the strike price 120的node（也就是可以给出positive return的node），只有最下方的52.22。

所以选择1个node。

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